Handbook of Equity Style Management

by Coggin, T. Daniel; Fabozzi, Frank J.

• ISBN13: 9780471268048
• ISBN10: 0471268046
• Edition: 3rd
• Format: Hardcover
• Copyright: 2003-02-28
• Publisher: Wiley

Summary

A fully updated guide to equity style management Pioneered by Nobel laureate William Sharpe, equity style management is derived from a correlation analysis of various equity style categories, such as value, growth, small cap, large cap and foreign stocks. In the Third Edition of The Handbook of Equity Style Management, twenty contributors from industry and academia help readers understand various equity style management issues, including equity style indices, different approaches to equity style measurement, foreign stock investing, tactical style management, behavioral aspects of equity style, and equity style benchmarks for manager selection and performance attribution. This updated edition gives readers the rationale behind equity style management, and shows how new strategies can be used to manage risk and improve returns. T. Daniel Coggin, PhD (Charlotte, NC), is an investment management consultant who has coauthored three books and numerous articles on investment management. Frank J. Fabozzi, PhD, CFA (New Hope, PA), is Editor of The Journal of Portfolio Management and author or editor of over 100 books on finance and investing.

Author Biography

T. DANIEL COGGIN, PhD, is a nationally recognized investment management consultant with over twenty-five years of experience in investment management and consulting. Dr. Coggin is a frequent speaker at investment industry conferences, and has co-edited three books and written numerous articles and book chapters on quantitative investment management. He earned his PhD in political science from Michigan State University in 1977 with an emphasis on econometrics and quantitative methods. <p> FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University&#8217;s School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He is an Advisory Analyst for Global Asset Management (GAM) with responsibilities as Consulting Director for portfolio construction, risk control, and evaluation.

Table of Contents

About the Editors	ix
Preface	xi
Overview of the Book	xiii
Contributing Authors	xv
Style Analysis: Asset Allocation and Performance Evaluation	1	(46)
Arik Ben Dor
Ravi Jagannathan
The Many Elements of Equity Style: Quantitative Management of Core, Growth, and Value Strategies	47	(28)
Robert D. Arnott
Christopher G. Luck
Models of Equity Style Information	75	(34)
Robert C. Radcliffe
Style Analysis: A Ten-Year Retrospective and Commentary	109	(22)
R. Stephen Hardy
More Depth and Breadth than the Style Box: The Morningstar Lens	131	(28)
Paul D. Kaplan
James A. Knowles
Don Phillips
Using Portfolio Holdings to Improve the Search for Skill	159	(12)
Ronald J. Surz
Are Growth and Value Dead?: A New Framework for Equity Investment Styles	171	(24)
Lawrence S. Speidell
John Graves
The Style of Investor Expectations	195	(24)
Hersh Shefrin
Meir Statman
The Effects of Imprecision and Bias on the Abilities of Growth and Value Managers to Outperform their Respective Benchmarks	219	(10)
Robert A. Haugen
Style Return Differentials: Illusions, Risk Premiums, or Investment Opportunities	229	(30)
Richard Roll
The Persistence of Equity Style Performance: Evidence from Mutual Fund Data	259	(14)
Ronald N. Kahn
Andrew Rudd
How the Technology Bubble of 1999--2000 Disrupted Equity Style Investing	273	(20)
Kari Bayer Pinkernell
Richard Bernstein
Multistyle Equity Investment Models	293	(22)
Parvez Ahmed
John G. Gallo
Larry J. Lockwood
Sudhir Nanda
A Comparison of Fixed versus Flexible Market Capitalization Style Allocations: Don't Be Boxed in by Size	315	(18)
Marc R Reinganum
A Plan Sponsor Perspective on Equity Style Management	333	(26)
Keith Cardoza
An Analysis of U.S. and Non-U.S. Equity Style Index Methodologies	359	(48)
H. David Shea
Country-Level Equity Style Timing	407	(12)
Clifford Asness
Robert Krail
John Liew
Value Investing and the January Effect: Some More International Evidence	419	(16)
Bala Arshanapalli
T. Daniel Coggin
William Nelson
Exploring the Mathematical Basis of Returns-Based Style Analysis	435	(20)
Thomas Becker
Trading (and Investing) in ``Style'' Using Futures and Exchange-Traded Funds	455	(28)
Joanne M. Hill
Index	483